Tuesday, November 27, 2018

Delta Neutral Update.....11.27.18

Despite the market's gyrations and volatility swings the delta neutral model has performed well.
Regular Mosaic users know that this is strictly a rules based data driven strategy that actually works best in periods of elevated volatility such as we are currently experiencing. It doesn't do well in periods when the VIX is in the 10-12 range, but we take what it gives us with obvious risk considerations.